CreditAnalytics is designed as a Java-based, fully-featured financial fixed income credit analytics, trading, and risk library.
It has been developed with a special focus towards the needs of the credit products community.
In particular, CreditAnalytics provides analytics to value liquid products (CDS, CDX, CDO, and bonds of all types and variants) and semi-liquid/custom products (single credit forwards and options, and portfolio credit forwards, options, tranches, and other structures).
Requirements:
· Java
What's New in This Release: [ read full changelog ]
· Create IR discount curve from rates, or by calibration from quotes of cash/money market LIBOR/swap/future
· Create credit curve from hazard rate or survival probabilities, or from quotes of bonds/CDS/other credit sensitive instruments
· Creates basis and correlation curves using single name and credit basket products
· Build FX Spot, forward, and FX basis curves from a variety of inputs
· Day counts of all kinds, holiday calendars for 150+ jurisdictions, and weirdest date adjustment rules
· Pull up a complete description of a bond using its ISIN/CUSIP/other standard identifier, and calc price, yield, G/I/Z Spread, bond credit basis or any other relative value metric, or
· Build your own bond or semi-funded note using any of the bells provided
· Pull in all the ref data for a given bond (incl. non-valuation details such as issue dates, notional, domicile, option schedule), or for all the bonds for the given issuer/sector/rating etc
· Build a standard CDS/CDX/CDO instrument by code, or a bespo...
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